I have a multiple linear regression with 4 independent variables. The summary() function returns the following:
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -0.03039 0.16152 -0.188 0.8530
var1 -0.96553 0.18595 -5.193 7.34e-05 ***
var2 -0.25014 0.19732 -1.268 0.2220 *
var3 -0.40355 0.22072 -1.828 0.0851 **
var4 0.15887 0.18559 0.856 0.4039
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Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 0.5606 on 17 degrees of freedom
Multiple R-squared: 0.7572, Adjusted R-squared: 0.6857
F-statistic: 10.6 on 5 and 17 DF, p-value: 9.445e-05
It shows that var4 is not significant. However, when I remove it from the model, the new p-value increases, R-square decreases, and the mean squared error of the model also increases
Question: Should I keep or remove var4 from the model? Will my model be criticized if I keep a non-significant independent variable? Thanks